def get_training_and_testing_candles(start_date_str: str, finish_date_str: str) -> Tuple[
Dict[str, Dict[str, Union[Union[str, ndarray], Any]]], Dict[str, Dict[str, Union[Union[str, ndarray], Any]]]]:
start_date = jh.arrow_to_timestamp(arrow.get(start_date_str, 'YYYY-MM-DD'))
finish_date = jh.arrow_to_timestamp(arrow.get(finish_date_str, 'YYYY-MM-DD')) - 60000
# Load candles (first try cache, then database)
candles = load_candles(start_date_str, finish_date_str)
# divide into training(85%) and testing(15%) sets
training_candles = {}
testing_candles = {}
days_diff = jh.date_diff_in_days(jh.timestamp_to_arrow(start_date), jh.timestamp_to_arrow(finish_date))
divider_index = int(days_diff * 0.85) * 1440
for key in candles:
training_candles[key] = {
'exchange': candles[key]['exchange'],
'symbol': candles[key]['symbol'],
'candles': candles[key]['candles'][0:divider_index],
}
testing_candles[key] = {
'exchange': candles[key]['exchange'],
'symbol': candles[key]['symbol'],
'candles': candles[key]['candles'][divider_index:],
}
return training_candles, testing_candles
def get_training_and_testing_candles(start_date_str: str,
finish_date_str: str):
start_date = jh.arrow_to_timestamp(arrow.get(start_date_str, 'YYYY-MM-DD'))
finish_date = jh.arrow_to_timestamp(
arrow.get(finish_date_str, 'YYYY-MM-DD')) - 60000
# Load candles (first try cache, then database)
from jesse.modes.backtest_mode import load_candles
candles = load_candles(start_date_str, finish_date_str)
# divide into training(85%) and testing(15%) sets
training_candles = {}
testing_candles = {}
days_diff = jh.date_diff_in_days(jh.get_arrow(start_date),
jh.get_arrow(finish_date))
divider_index = int(days_diff * 0.85) * 1440
for key in candles:
training_candles[key] = {
'exchange': candles[key]['exchange'],
'symbol': candles[key]['symbol'],
'candles': candles[key]['candles'][0:divider_index],
}
testing_candles[key] = {
'exchange': candles[key]['exchange'],
'symbol': candles[key]['symbol'],
'candles': candles[key]['candles'][divider_index:],
}
return training_candles, testing_candles
def candles(candles_array):
period = jh.date_diff_in_days(jh.get_arrow(candles_array[0][0]), jh.get_arrow(candles_array[-1][0])) + 1
if period > 365:
duration = '{} days ({} years)'.format(period, round(period / 365, 2))
elif period > 30:
duration = '{} days ({} months)'.format(period, round(period / 30, 2))
else:
duration = '{} days'.format(period)
return [
['period', duration],
['starting-ending date', '{} => {}'.format(jh.timestamp_to_time(candles_array[0][0])[:10],
jh.timestamp_to_time(candles_array[-1][0] + 60_000)[:10])],
]
def candles_info(candles_array: np.ndarray) -> dict:
period = jh.date_diff_in_days(jh.timestamp_to_arrow(
candles_array[0][0]), jh.timestamp_to_arrow(candles_array[-1][0])) + 1
if period > 365:
duration = f'{period} days ({round(period / 365, 2)} years)'
elif period > 30:
duration = f'{period} days ({round(period / 30, 2)} months)'
else:
duration = f'{period} days'
return {
'duration': duration,
'starting_time': candles_array[0][0],
'finishing_time': (candles_array[-1][0] + 60_000),
}
def candles(candles_array: np.ndarray) -> List[List[str]]:
period = jh.date_diff_in_days(jh.timestamp_to_arrow(
candles_array[0][0]), jh.timestamp_to_arrow(candles_array[-1][0])) + 1
if period > 365:
duration = f'{period} days ({round(period / 365, 2)} years)'
elif period > 30:
duration = f'{period} days ({round(period / 30, 2)} months)'
else:
duration = f'{period} days'
return [
['period', duration],
[
'starting-ending date',
f'{jh.timestamp_to_time(candles_array[0][0])[:10]} => {jh.timestamp_to_time(candles_array[-1][0] + 60_000)[:10]}'
],
]
def test_date_diff_in_days():
date_1 = arrow.get('2015-12-23 18:40:48', 'YYYY-MM-DD HH:mm:ss')
date_2 = arrow.get('2017-11-15 13:18:20', 'YYYY-MM-DD HH:mm:ss')
diff = jh.date_diff_in_days(date_1, date_2)
assert diff == 692
def _get_candles_from_backup_exchange(exchange: str,
backup_driver: CandleExchange,
symbol: str, start_timestamp: int,
end_timestamp: int):
total_candles = []
# try fetching from database first
backup_candles = Candle.select(
Candle.timestamp, Candle.open, Candle.close, Candle.high, Candle.low,
Candle.volume).where(
Candle.timestamp.between(start_timestamp, end_timestamp),
Candle.exchange == backup_driver.name,
Candle.symbol == symbol).order_by(Candle.timestamp.asc()).tuples()
already_exists = len(
backup_candles) == (end_timestamp - start_timestamp) / 60_000 + 1
if already_exists:
# loop through them and set new ID and exchange
for c in backup_candles:
total_candles.append({
'id': jh.generate_unique_id(),
'symbol': symbol,
'exchange': exchange,
'timestamp': c[0],
'open': c[1],
'close': c[2],
'high': c[3],
'low': c[4],
'volume': c[5]
})
return total_candles
# try fetching from market now
days_count = jh.date_diff_in_days(jh.timestamp_to_arrow(start_timestamp),
jh.timestamp_to_arrow(end_timestamp))
# make sure it's rounded up so that we import maybe more candles, but not less
if days_count < 1:
days_count = 1
if type(days_count) is float and not days_count.is_integer():
days_count = math.ceil(days_count)
candles_count = days_count * 1440
start_date = jh.timestamp_to_arrow(start_timestamp).floor('day')
for _ in range(candles_count):
temp_start_timestamp = start_date.int_timestamp * 1000
temp_end_timestamp = temp_start_timestamp + (backup_driver.count -
1) * 60000
# to make sure it won't try to import candles from the future! LOL
if temp_start_timestamp > jh.now_to_timestamp():
break
# prevent duplicates
count = Candle.select().where(
Candle.timestamp.between(temp_start_timestamp, temp_end_timestamp),
Candle.symbol == symbol,
Candle.exchange == backup_driver.name).count()
already_exists = count == backup_driver.count
if not already_exists:
# it's today's candles if temp_end_timestamp < now
if temp_end_timestamp > jh.now_to_timestamp():
temp_end_timestamp = arrow.utcnow().floor(
'minute').int_timestamp * 1000 - 60000
# fetch from market
candles = backup_driver.fetch(symbol, temp_start_timestamp)
if not len(candles):
raise CandleNotFoundInExchange(
'No candles exists in the market for this day: {} \n'
'Try another start_date'.format(
jh.timestamp_to_time(temp_start_timestamp)[:10], ))
# fill absent candles (if there's any)
candles = _fill_absent_candles(candles, temp_start_timestamp,
temp_end_timestamp)
# store in the database
_insert_to_database(candles)
# add as much as driver's count to the temp_start_time
start_date = start_date.shift(minutes=backup_driver.count)
# sleep so that the exchange won't get angry at us
if not already_exists:
time.sleep(backup_driver.sleep_time)
# now try fetching from database again. Why? because we might have fetched more
# than what's needed, but we only want as much was requested. Don't worry, the next
# request will probably fetch from database and there won't be any waste!
backup_candles = Candle.select(
Candle.timestamp, Candle.open, Candle.close, Candle.high, Candle.low,
Candle.volume).where(
Candle.timestamp.between(start_timestamp, end_timestamp),
Candle.exchange == backup_driver.name,
Candle.symbol == symbol).order_by(Candle.timestamp.asc()).tuples()
already_exists = len(
backup_candles) == (end_timestamp - start_timestamp) / 60_000 + 1
if already_exists:
# loop through them and set new ID and exchange
for c in backup_candles:
total_candles.append({
'id': jh.generate_unique_id(),
'symbol': symbol,
'exchange': exchange,
'timestamp': c[0],
'open': c[1],
'close': c[2],
'high': c[3],
'low': c[4],
'volume': c[5]
})
return total_candles
def run(exchange: str,
symbol: str,
start_date_str: str,
skip_confirmation=False):
try:
start_timestamp = jh.arrow_to_timestamp(
arrow.get(start_date_str, 'YYYY-MM-DD'))
except:
raise ValueError(
'start_date must be a string representing a date before today. ex: 2020-01-17'
)
# more start_date validations
today = arrow.utcnow().floor('day').int_timestamp * 1000
if start_timestamp == today:
raise ValueError(
"Today's date is not accepted. start_date must be a string a representing date BEFORE today."
)
elif start_timestamp > today:
raise ValueError(
"Future's date is not accepted. start_date must be a string a representing date BEFORE today."
)
click.clear()
symbol = symbol.upper()
until_date = arrow.utcnow().floor('day')
start_date = arrow.get(start_timestamp / 1000)
days_count = jh.date_diff_in_days(start_date, until_date)
candles_count = days_count * 1440
exchange = exchange.title()
try:
driver: CandleExchange = drivers[exchange]()
except KeyError:
raise ValueError('{} is not a supported exchange'.format(exchange))
loop_length = int(candles_count / driver.count) + 1
# ask for confirmation
if not skip_confirmation:
click.confirm(
'Importing {} days candles from "{}" for "{}". Duplicates will be skipped. All good?'
.format(days_count, exchange, symbol),
abort=True,
default=True)
with click.progressbar(length=loop_length,
label='Importing candles...') as progressbar:
for _ in range(candles_count):
temp_start_timestamp = start_date.int_timestamp * 1000
temp_end_timestamp = temp_start_timestamp + (driver.count -
1) * 60000
# to make sure it won't try to import candles from the future! LOL
if temp_start_timestamp > jh.now_to_timestamp():
break
# prevent duplicates calls to boost performance
count = Candle.select().where(
Candle.timestamp.between(temp_start_timestamp,
temp_end_timestamp),
Candle.symbol == symbol, Candle.exchange == exchange).count()
already_exists = count == driver.count
if not already_exists:
# it's today's candles if temp_end_timestamp < now
if temp_end_timestamp > jh.now_to_timestamp():
temp_end_timestamp = arrow.utcnow().floor(
'minute').int_timestamp * 1000 - 60000
# fetch from market
candles = driver.fetch(symbol, temp_start_timestamp)
if not len(candles):
click.clear()
first_existing_timestamp = driver.get_starting_time(symbol)
# if driver can't provide accurate get_starting_time()
if first_existing_timestamp is None:
raise CandleNotFoundInExchange(
'No candles exists in the market for this day: {} \n'
'Try another start_date'.format(
jh.timestamp_to_time(temp_start_timestamp)
[:10], ))
# handle when there's missing candles during the period
if temp_start_timestamp > first_existing_timestamp:
# see if there are candles for the same date for the backup exchange,
# if so, get those, if not, download from that exchange.
driver.init_backup_exchange()
if driver.backup_exchange is not None:
candles = _get_candles_from_backup_exchange(
exchange, driver.backup_exchange, symbol,
temp_start_timestamp, temp_end_timestamp)
else:
if not skip_confirmation:
print(
jh.color(
'No candle exists in the market for {}\n'.
format(
jh.timestamp_to_time(
temp_start_timestamp)[:10]),
'yellow'))
click.confirm(
'First present candle is since {}. Would you like to continue?'
.format(
jh.timestamp_to_time(
first_existing_timestamp)[:10]),
abort=True,
default=True)
run(
exchange, symbol,
jh.timestamp_to_time(first_existing_timestamp)
[:10], True)
return
# fill absent candles (if there's any)
candles = _fill_absent_candles(candles, temp_start_timestamp,
temp_end_timestamp)
# store in the database
if skip_confirmation:
_insert_to_database(candles)
else:
threading.Thread(target=_insert_to_database,
args=[candles]).start()
# add as much as driver's count to the temp_start_time
start_date = start_date.shift(minutes=driver.count)
progressbar.update(1)
# sleep so that the exchange won't get angry at us
if not already_exists:
time.sleep(driver.sleep_time)
def get_training_and_testing_candles(start_date_str: str,
finish_date_str: str):
start_date = jh.arrow_to_timestamp(arrow.get(start_date_str, 'YYYY-MM-DD'))
finish_date = jh.arrow_to_timestamp(
arrow.get(finish_date_str, 'YYYY-MM-DD')) - 60000
# validate
if start_date == finish_date:
raise ValueError('start_date and finish_date cannot be the same.')
if start_date > finish_date:
raise ValueError('start_date cannot be bigger than finish_date.')
if finish_date > arrow.utcnow().timestamp * 1000:
raise ValueError('Can\'t backtest the future!')
candles = {}
for exchange in config['app']['considering_exchanges']:
for symbol in config['app']['considering_symbols']:
key = jh.key(exchange, symbol)
candles_tuple = Candle.select(
Candle.timestamp, Candle.open, Candle.close, Candle.high,
Candle.low, Candle.volume).where(
Candle.timestamp.between(start_date, finish_date),
Candle.exchange == exchange,
Candle.symbol == symbol).order_by(
Candle.timestamp.asc()).tuples()
candles[key] = {
'exchange': exchange,
'symbol': symbol,
'candles': np.array(candles_tuple)
}
# validate that there are enough candles for selected period
if len(
candles[key]['candles']
) == 0 or candles[key]['candles'][-1][0] != finish_date or candles[
key]['candles'][0][0] != start_date:
raise Breaker(
'Not enough candles for {}. Try running "jesse import-candles"'
.format(symbol))
# divide into training(85%) and testing(15%) sets
training_candles = {}
testing_candles = {}
days_diff = jh.date_diff_in_days(jh.get_arrow(start_date),
jh.get_arrow(finish_date))
divider_index = int(days_diff * 0.85) * 1440
for key in candles:
training_candles[key] = {
'exchange': candles[key]['exchange'],
'symbol': candles[key]['symbol'],
'candles': candles[key]['candles'][0:divider_index],
}
testing_candles[key] = {
'exchange': candles[key]['exchange'],
'symbol': candles[key]['symbol'],
'candles': candles[key]['candles'][divider_index:],
}
return training_candles, testing_candles
def run(exchange: str,
symbol: str,
start_date_str: str,
skip_confirmation: bool = False,
mode: str = 'candles') -> None:
config['app']['trading_mode'] = mode
# first, create and set session_id
store.app.set_session_id()
register_custom_exception_handler()
# close database connection
from jesse.services.db import database
database.open_connection()
# at every second, we check to see if it's time to execute stuff
status_checker = Timeloop()
@status_checker.job(interval=timedelta(seconds=1))
def handle_time():
if process_status() != 'started':
raise exceptions.Termination
status_checker.start()
try:
start_timestamp = jh.arrow_to_timestamp(
arrow.get(start_date_str, 'YYYY-MM-DD'))
except:
raise ValueError(
'start_date must be a string representing a date before today. ex: 2020-01-17'
)
# more start_date validations
today = arrow.utcnow().floor('day').int_timestamp * 1000
if start_timestamp == today:
raise ValueError(
"Today's date is not accepted. start_date must be a string a representing date BEFORE today."
)
elif start_timestamp > today:
raise ValueError(
"Future's date is not accepted. start_date must be a string a representing date BEFORE today."
)
# We just call this to throw a exception in case of a symbol without dash
jh.quote_asset(symbol)
click.clear()
symbol = symbol.upper()
until_date = arrow.utcnow().floor('day')
start_date = arrow.get(start_timestamp / 1000)
days_count = jh.date_diff_in_days(start_date, until_date)
candles_count = days_count * 1440
try:
driver: CandleExchange = drivers[exchange]()
except KeyError:
raise ValueError(f'{exchange} is not a supported exchange')
except TypeError:
raise FileNotFoundError('You are missing the "plugins.py" file')
loop_length = int(candles_count / driver.count) + 1
# ask for confirmation
if not skip_confirmation:
click.confirm(
f'Importing {days_count} days candles from "{exchange}" for "{symbol}". Duplicates will be skipped. All good?',
abort=True,
default=True)
progressbar = Progressbar(loop_length)
for i in range(candles_count):
temp_start_timestamp = start_date.int_timestamp * 1000
temp_end_timestamp = temp_start_timestamp + (driver.count - 1) * 60000
# to make sure it won't try to import candles from the future! LOL
if temp_start_timestamp > jh.now_to_timestamp():
break
# prevent duplicates calls to boost performance
count = Candle.select().where(
Candle.timestamp.between(temp_start_timestamp, temp_end_timestamp),
Candle.symbol == symbol, Candle.exchange == exchange).count()
already_exists = count == driver.count
if not already_exists:
# it's today's candles if temp_end_timestamp < now
if temp_end_timestamp > jh.now_to_timestamp():
temp_end_timestamp = arrow.utcnow().floor(
'minute').int_timestamp * 1000 - 60000
# fetch from market
candles = driver.fetch(symbol, temp_start_timestamp)
# check if candles have been returned and check those returned start with the right timestamp.
# Sometimes exchanges just return the earliest possible candles if the start date doesn't exist.
if not len(candles) or arrow.get(
candles[0]['timestamp'] / 1000) > start_date:
click.clear()
first_existing_timestamp = driver.get_starting_time(symbol)
# if driver can't provide accurate get_starting_time()
if first_existing_timestamp is None:
raise CandleNotFoundInExchange(
f'No candles exists in the market for this day: {jh.timestamp_to_time(temp_start_timestamp)[:10]} \n'
'Try another start_date')
# handle when there's missing candles during the period
if temp_start_timestamp > first_existing_timestamp:
# see if there are candles for the same date for the backup exchange,
# if so, get those, if not, download from that exchange.
if driver.backup_exchange is not None:
candles = _get_candles_from_backup_exchange(
exchange, driver.backup_exchange, symbol,
temp_start_timestamp, temp_end_timestamp)
else:
temp_start_time = jh.timestamp_to_time(
temp_start_timestamp)[:10]
temp_existing_time = jh.timestamp_to_time(
first_existing_timestamp)[:10]
sync_publish(
'alert', {
'message':
f'No candle exists in the market for {temp_start_time}. So '
f'Jesse started importing since the first existing date which is {temp_existing_time}',
'type':
'success'
})
run(exchange, symbol,
jh.timestamp_to_time(first_existing_timestamp)[:10],
True)
return
# fill absent candles (if there's any)
candles = _fill_absent_candles(candles, temp_start_timestamp,
temp_end_timestamp)
# store in the database
if skip_confirmation:
store_candles(candles)
else:
threading.Thread(target=store_candles, args=[candles]).start()
# add as much as driver's count to the temp_start_time
start_date = start_date.shift(minutes=driver.count)
progressbar.update()
sync_publish(
'progressbar', {
'current':
progressbar.current,
'estimated_remaining_seconds':
progressbar.estimated_remaining_seconds
})
# sleep so that the exchange won't get angry at us
if not already_exists:
time.sleep(driver.sleep_time)
# stop the status_checker time loop
status_checker.stop()
sync_publish(
'alert', {
'message':
f'Successfully imported candles since {jh.timestamp_to_date(start_timestamp)} until today ({days_count} days). ',
'type': 'success'
})
# if it is to skip, then it's being called from another process hence we should leave the database be
if not skip_confirmation:
# close database connection
from jesse.services.db import database
database.close_connection()
